I second that, turns out 90% of the queries on my network come from my Libratone speakers and they seem to desperately try and reach China (.com.cn)

I do this and it works great. Ad block on all my devices regardless of proprietary sandboxes. I also use Syncthing over my tailnet IP addresses so that traffic never leaves my “grounds”. I’m slowly building out a whole suite of services I host only within my tailnet, jellyfin, calibre, invidious, it been a great learning experience. I’m about to set up a proper home lab, finally moving everything off an old laptop.

Hint: you don't need to route all your traffic through your VPN to make use of the pihole adblocking: Just DNS. If your at home internet is even moderately stable/good then this should barely affect your roaming internet experience, since DNS traffic is such a small part of all traffic.

Also, since I'm already mirroring the configuration of my PiHole instance to a secondary one, I'm considering putting a tertiary one on some forever-free cloud server instance and just using that when not at home (put it into the same wireguard vpn to prevent security nightmares). That way my roaming private DNS wouldn't even depend on my home internet.